Scott H. Holan - Böcker

Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed can be applied to other types of discrete-valued time series, such as binary-valued or categorical time series.Explore a Balanced Treatment of Frequentist and Bayesian Perspectives Accessible to graduate-level students who have taken an elementary class in statistical time series analysis, the book begins with the history and current methods for modeling and analyzing univariate count series. It next discusses diagnostics and applications before proceeding to binary and categorical time series. The book then provides a guide to modern methods for discrete-valued spatio-temporal data, illustrating how far modern applications have evolved from their roots. The book ends with a focus on multivariate and long-memory count series.Get Guidance from Masters in the FieldWritten by a cohesive group of distinguished contributors, this handbook provides a unified account of the diverse techniques available for observation- and parameter-driven models. It covers likelihood and approximate likelihood methods, estimating equations, simulation methods, and a Bayesian approach for model fitting.

Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time series modeling and seasonal adjustment, as is reflected both in the contents of the chapters and in their authorship, with contributors coming from academia and government statistical agencies.For easier perusal and absorption, the contents have been grouped into seven topical sections: Section I deals with periodic modeling of time series, introducing, applying, and comparing various seasonally periodic modelsSection II examines the estimation of time series components when models for series are misspecified in some sense, and the broader implications this has for seasonal adjustment and business cycle estimationSection III examines the quantification of error in X-11 seasonal adjustments, with comparisons to error in model-based seasonal adjustmentsSection IV discusses some practical problems that arise in seasonal adjustment: developing asymmetric trend-cycle filters, dealing with both temporal and contemporaneous benchmark constraints, detecting trading-day effects in monthly and quarterly time series, and using diagnostics in conjunction with model-based seasonal adjustmentSection V explores outlier detection and the modeling of time series containing extreme values, developing new procedures and extending previous workSection VI examines some alternative models and inference procedures for analysis of seasonal economic time seriesSection VII deals with aspects of modeling, estimation, and forecasting for nonseasonal economic time seriesBy presenting new methodological developments as well as pertinent empirical analyses and reviews of established methods, the book provides much that is stimulating and practically useful for the serious researcher and analyst of economic time series.